Short Cuts
Donald MacKenzie: Wall Street’s Fear Gauge, 25 January 2018
“... expectations from the prices of options. In the mid-1980s, the economists Menachem Brenner and Dan Galai began to lobby the US options exchanges to create a ‘volatility index’, based on options prices, that would measure stock-market volatility in a way loosely analogous to – albeit mathematically far more sophisticated than – how the Dow ... ”